Screening A-Shares by Turnover, Recent Returns, and a Large Up Day

Summary

This document describes a short-term A-share screen using three conditions: turnover between 3% and 12%, a 10-day gain above 0% but below 35%, and at least one daily gain of 10% or more during the previous 25 trading days. The stated rationale is to find shares showing recent strength and trading activity while avoiding stocks with very low turnover or extreme short-term gains. It also suggests adding valuation or fundamental measures and adjusting the conditions as market conditions change.

The document provides example code and a risk discussion, but no backtest, performance data, or evidence that the screen predicts future returns. The code's return conditions do not clearly match the stated 10-day cumulative return filter, and its turnover thresholds may depend on how the data source represents turnover. Results therefore need careful implementation checks and independent testing. The author cautions that changing market conditions can affect the screen and its selected stocks.

Key ideas

• The stated screen combines turnover, 10-day price performance, and a large daily gain within the previous 25 trading days.
• The selection logic is presented as a way to identify active shares with recent upward momentum.
• The document recommends considering valuation or fundamental filters to broaden the selection criteria.
• It provides no performance evidence, and the example code should be checked against the stated screening conditions.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.